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Small scale behavior of financial data

A. P. Nawroth () and J. Peinke

The European Physical Journal B: Condensed Matter and Complex Systems, 2006, vol. 50, issue 1, 147-151

Abstract: A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a function of the timescale. To this purpose a measure is introduced, which quantifies the distance of a considered distribution to a reference distribution. The existence of a small timescale regime is demonstrated, which exhibits different properties compared to the normal timescale regime for timescales larger than one minute. This regime seems to be universal for individual stocks. It is shown that the existence of this small timescale regime is not dependent on the special choice of the distance measure or the reference distribution. These findings have important implications for risk analysis, in particular for the probability of extreme events. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2006

Keywords: 89.65.Gh Economics; econophysics, financial markets, business and management , (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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DOI: 10.1140/epjb/e2006-00120-3

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